Wenying Yao : Citation Profile


Are you Wenying Yao?

Deakin University

3

H index

0

i10 index

26

Citations

RESEARCH PRODUCTION:

12

Articles

8

Papers

RESEARCH ACTIVITY:

   9 years (2012 - 2021). See details.
   Cites by year: 2
   Journals where Wenying Yao has often published
   Relations with other researchers
   Recent citing documents: 8.    Total self citations: 6 (18.75 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pya365
   Updated: 2021-10-16    RAS profile: 2021-05-07    
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Relations with other researchers


Works with:

Alexeev, Vitali (4)

Tang, Chrismin (2)

Vahid, Farshid (2)

Poskitt, Donald (2)

Dungey, Mardi (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Wenying Yao.

Is cited by:

pagan, adrian (2)

Koop, Gary (2)

Soccorsi, Stefano (2)

Chan, Joshua (2)

Eisenstat, Eric (2)

Mendieta-Muñoz, Ivan (2)

Eickmeier, Sandra (1)

Angelini, Giovanni (1)

Pelger, Markus (1)

Sorge, Marco (1)

Smith, Peter (1)

Cites to:

Bollerslev, Tim (46)

Andersen, Torben (23)

Diebold, Francis (20)

Dungey, Mardi (19)

Hansen, Peter (14)

Poskitt, Donald (13)

Campbell, John (13)

Barndorff-Nielsen, Ole (11)

Engle, Robert (10)

Ait-Sahalia, Yacine (9)

Lunde, Asger (8)

Main data


Where Wenying Yao has published?


Journals with more than one article published# docs
The Economic Record2

Working Papers Series with more than one paper published# docs
Working Papers / University of Tasmania, Tasmanian School of Business and Economics4
Monash Econometrics and Business Statistics Working Papers / Monash University, Department of Econometrics and Business Statistics2

Recent works citing Wenying Yao (2021 and 2020)


YearTitle of citing document
2021Identifiability and Estimation of Possibly Non-Invertible SVARMA Models: A New Parametrisation. (2020). Funovits, Bernd. In: Papers. RePEc:arx:papers:2002.04346.

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2021Machine Learning Advances for Time Series Forecasting. (2020). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Papers. RePEc:arx:papers:2012.12802.

Full description at Econpapers || Download paper

2021Predictive Quantile Regression with Mixed Roots and Increasing Dimensions. (2021). Shin, Youngki ; Lee, Ji Hyung ; Fan, Rui. In: Papers. RePEc:arx:papers:2101.11568.

Full description at Econpapers || Download paper

2020Understanding Systematic Risk: A High‐Frequency Approach. (2020). Pelger, Markus. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:4:p:2179-2220.

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2021Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks. (2021). Sorge, Marco M ; Angelini, Giovanni. In: Working Papers. RePEc:bol:bodewp:wp1160.

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2020Factor Investing for the Long Run. (2020). Tarelli, Andrea ; Lioui, Abraham. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:117:y:2020:i:c:s0165188920301287.

Full description at Econpapers || Download paper

2020Realized volatility, jump and beta: evidence from Canadian stock market. (2020). Chowdhury, Biplob ; Gajurel, Dinesh. In: Working Papers. RePEc:tas:wpaper:35107.

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2020Analysis of Systematic Risk around Firm-specific News in an Emerging Market using High Frequency Data. (2020). Yalaman, Abdullah ; Smith, Peter N. In: Discussion Papers. RePEc:yor:yorken:20/09.

Full description at Econpapers || Download paper

Works by Wenying Yao:


YearTitleTypeCited
2020Modelling Financial Contagion Using High Frequency Data In: The Economic Record.
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article0
2020Jump Risk in the US Financial Sector In: The Economic Record.
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article0
2018News and expected returns in East Asian equity markets: The RV-GARCHM model In: Journal of Asian Economics.
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article0
2017On weak identification in structural VARMA models In: Economics Letters.
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article0
2020High-dimensional predictive regression in the presence of cointegration In: Journal of Econometrics.
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article2
2017Time-varying continuous and jump betas: The role of firm characteristics and periods of stress In: Journal of Empirical Finance.
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article9
2021Forecasting the volatility of asset returns: The informational gains from option prices In: International Journal of Forecasting.
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article0
2019Asymmetric jump beta estimation with implications for portfolio risk management In: International Review of Economics & Finance.
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article1
2016Continuous and Jump Betas: Implications for Portfolio Diversification In: Econometrics.
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article1
2012VAR Modeling and Business Cycle Analysis: A Taxonomy of Errors In: Monash Econometrics and Business Statistics Working Papers.
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paper4
2014Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations In: Monash Econometrics and Business Statistics Working Papers.
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paper2
2016Determination of Long‐run and Short‐run Dynamics in EC‐VARMA Models via Canonical Correlations.(2016) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 2
article
2020The Impact of Forward Guidance and Large-scale Asset Purchase Programs on Commodity Markets In: MPRA Paper.
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paper0
2018High-frequency Characterisation of Indian Banking Stocks In: Journal of Emerging Market Finance.
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article0
2015High frequency characterization of Indian banking stocks.(2015) In: Working Papers.
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This paper has another version. Agregated cites: 0
paper
2017Vector Autoregressions and Macroeconomic Modeling: An Error Taxonomy In: Journal of Business & Economic Statistics.
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article7
2014Forecasting with EC-VARMA models In: Working Papers.
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paper0
2014VAR(MA), what is it good for? more bad news for reduced-form estimation and inference In: Working Papers.
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paper0
2015The role of intra-day volatility pattern in jump detection: empirical evidence on how financial markets respond to macroeconomic news announcements In: Working Papers.
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paper0
2020Cojump anchoring In: Discussion Papers.
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paper0

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